Essays about: "Mean-Variance Analysis"
Showing result 21 - 25 of 33 essays containing the words Mean-Variance Analysis.
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21. Optimal Linear Combinations of Portfolios Subject to Estimation Risk
University essay from Mälardalens högskola/Akademin för utbildning, kultur och kommunikationAbstract : The combination of two or more portfolio rules is theoretically convex in return-risk space, which provides for a new class of portfolio rules that gives purpose to the Mean-Variance framework out-of-sample. The author investigates the performance loss from estimation risk between the unconstrained Mean-Variance portfolio and the out-of-sample Global Minimum Variance portfolio. READ MORE
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22. Analysis of Pension Strategies
University essay from KTH/Matematisk statistikAbstract : In a time where people tend to retire earlier and live longer in combination with an augmented personal responsibility of allocating or at least choosing adequately composed pension funds, the importance of a deeper understanding of long term investment strategies is inevitably accentuated. On the background of discrepancies in suggested pension fund strategies by influential fund providers, professional advisers and previous literature, this thesis aims at addressing foremost one particular research question: How should an investor optimally allocate between risky and risk-less assets in a pension fund depending on age? In order to answer the question the sum of Human wealth, defined as the present value of all expected future incomes, and ordinary Financial wealth is maximized by applying a mean-variance and a expected utility approach. READ MORE
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23. Analysis and Optimization of aPortfolio of Catastrophe Bonds
University essay from KTH/Matematisk statistikAbstract : This Master's Thesis in mathematical statistics has the two major purposes; (i) to model and measure the risk associated with a special type of reinsurance contract, the catastrophe bond, and (ii) to analyze and develop methods of portfolio optimization suitable for a portfolio of catastrophe bonds. Two pathways of modeling potential catastrophe bond losses are analyzed; one method directly modeling potential contract losses and one method modeling the underlying contract loss governing variables. READ MORE
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24. The Black-Litterman Asset Allocation Model : An Empirical Comparison to the Classical Mean-Variance Framework
University essay from Linköpings universitet/Nationalekonomi; Linköpings universitet/Filosofiska fakultetenAbstract : Within the scope of this thesis, the Black-Litterman Asset Allocation Model (as presented in He & Litterman, 1999) is compared to the classical mean-variance framework by simulating past performance of portfolios constructed by both models using identical input data. A quantitative investment strategy which favours stocks with high dividend yield rates is used to generate private views about the expected excess returns for a fraction of the stocks included in the sample. READ MORE
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25. Momentum Investment Strategies with Portfolio Optimization : A Study on Nasdaq OMX Stockholm Large Cap
University essay from Akademin för utbildning, kultur och kommunikationAbstract : This report covers a study testing the possibility of adding portfolio optimization by mean-variance analysis as a tool to extend the concept of momentum strategies in contrast to naive allocation formed by Jegadeesh & Titman (1993). Further these active investment strategies are compared with a passive benchmark as well as a randomly selected portfolio over the entire study-period. READ MORE
